The Eurodollar Futures and Options Handbook (McGraw-Hill Library of Investment and Finance)

He provides an excellent overview of the institutional details of Eurodollars and their uses. The book is at its strongest when dealing with issues of the convexity bias and also scores high by not neglecting important issues like the stub period. Perhaps my favorite chapter was on callable bonds and the extension/compression risk, which, while a little misplaced in a book on Eurodlllars, still provided a very lucid explanation of the relevant issues.

With regard to options, the author touches upon some of the interest strategic combinations using serial and mid-curve options, but I feel that he could've delved a bit deeper in this part of the book. It's the only area in which I felt the book was somewhat lacking.

Having said all that, if you're looking to learn about Eurodollar futures, I can't imagine there's a better book out there. This is an excellent compilation of a number of Burghardt's research from the 1990s together with more recent updates. Even if Eurodollars are not your main area of expertise, this book will still help you to gain a more solid understanding of many of the pertinent topics in fixed income.


Highly recommended   July 22, 2003
9 out of 10 found this review helpful

Having just finished reading the author's treatment of bond futures in the 'Treasury Bond Basis,' I was happy to see that Burghardt was updating some of his material from the early 1990s on Eurodollar futures. The 'Bond Basis' was an excellent and thorough analysis, and 'The Eurodollar Futures and Options Handbook' follows the same trend.

He provides an excellent overview of the institutional details of Eurodollars and their uses. The book is at its strongest when dealing with issues of the convexity bias and also scores high by not neglecting important issues like the stub period. Perhaps my favorite chapter was on callable bonds and the extension/compression risk, which, while a little misplaced in a book on Eurodollars, still provided a very lucid explanation of the relevant issues.

With regard to options, the author touches upon some of the interest strategic combinations using serial and mid-curve options, but I feel that he could've delved a bit deeper in this part of the book. It's the only area in which I felt the book was somewhat lacking.

Having said all that, if you're looking to learn about Eurodollar futures, I can't imagine there's a better book out there. This is an excellent compilation of a number of Burghardt's research from the 1990s together with more recent updates. Even if Eurodollars are not your main area of expertise, this book will still help you to gain a more solid understanding of many of the pertinent topics in fixed income.


The Standard!   August 5, 2003
3 out of 9 found this review helpful

Clearly the best book on Eurodollar futures and options. The book is a must for anyone involved in fixed income securities.


The Bible, and maybe ready for a new edition   February 24, 2010
Erik Lehtis (Chicago, IL USA)
1 out of 1 found this review helpful

This book stands alone as the go-to volume for anyone interested in understanding what Eurodollar futures are, how they came to be, and what they are used for. This should come as no surprise, given that the author had a major hand in the invention of the Eurodollar contract. More abstract issues for professional traders, including convexity, strip valuation, and TED spread arbitrage are also covered, in easy-to-read yet authoritative theoretical terms.

Considering the move made by the market from the pits to the screens, the time for another revised edition may be drawing near. Systematic arbitrage of the Eurodollar complex (spreads, packs, bundles, etc.) has never been more available to the sophisticated amateur. If there is any aspect of the market that Mr. Burghardt neglects, it is a thorough treatment of Eurodollar calendar spread arbitrage.


Ver practical book with detailed examples   February 25, 2006
S. Chen (Chicago, IL USA)
This is a very practical book with detailed examples to help reader with the basic concept and Eurodollar Futures and Options. Very useful for beginners in this field. The last half of the book is dealing with more advanced topic more suitable for fix incoming researchers.